Equity Certificates Valuation with a Time-Dependent Extension of the Heston Model

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Equity Certificates Valuation with a Time-Dependent Extension of the Heston Model

What if equity certificates could be valued with better calibration across both short- and long-term volatility? Join Riccardo Tedeschi and Fabio Menozzi to explore a time-dependent extension of the Heston model, and discover how it can be enhanced with the Oztukel-Wilmott model in a real-world structured product case study.

Riccardo Tedeschi, 1 more
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Mon 20 Jul 2026
17:00 - 18:00 BST
Online

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Event Description

This talk will present a framework for valuing a specific type of structured product: equity investment certificates. It will introduce an innovative time-dependent extension of the Heston model, designed to improve calibration to market data by replicating not only the usual short-term quoted range, but also a long-term target volatility level.

The talk will also explore how the Oztukel-Wilmott empirical historical volatility analysis model can be used to estimate this long-term target volatility. Finally, it will demonstrate the framework through a real-life case study of a Twin Win Autocallable on the Euro Stoxx Banks Index.

Speakers

Riccardo Tedeschi

Riccardo Tedeschi has been a Senior Partner at Prometeia Spa since December 2025. He specializes in Enterprise Risk Management and heads the Pricing Unit and Financial Innovation competence line, overseeing the development of advanced methodologies and analytical platforms for portfolio assessment, structured finance valuation, and risk management.

He joined Prometeia in 1994 and has played a key role in the firm’s advisory and quantitative innovation initiatives in banking, insurance, and financial markets.

Since September 2017, he has served as Risk Manager of Prometeia Advisor SIM S.p.A., a leading financial advisory firm in the Italian institutional market.

Riccardo Tedeschi is also Adjunct Professor at the University of Bologna, where he has been teaching Derivatives since 2004 and Financial Risk Management since 2018.

Fabio Menozzi

Fabio Menozzi is a specialist at Prometeia Spa, where he specialises in financial modelling and risk management. He holds a Master’s degree in Mathematical Engineering from the Politecnico di Milano. Since joining Prometeia in 2021, he has contributed to projects related to the pricing of financial derivatives, fair value models, credit risk and model validation.